shabbychef

# * Sat May 19 2012 21:04:56 Steven E. Pav <[email protected]>
# from https://github.com/milktrader/rfinance2012/blob/94e6dd0452b16697ad10f9bc7e0e7431c95d9020/xts/.Rhistory

require(quantmod)

getSymbols('^GSPC', from='1950-01-01')
G <- monthlyReturn(Cl(GSPC))
G$monnum <- .indexmon(G)

# try ANOVA on the monthly returns

shabbychef

# to get the R<->python magic
%load_ext rmagic

# now you can code in R:
%%R
library(survival)
amod <- coxph(Surv(lung$time,lung$status) ~ lung$sex + lung$ph.karno)
print(summary(amod))

# done

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# * Fri Feb 24 2012 09:09:10 PM Steven E. Pav <[email protected]>
#
# computation of moments and moment-based statistics
# 
# see also: 
# * http://www.johndcook.com/blog/2008/09/26/comparing-three-methods-of-computing-standard-deviation/
# * http://www.johndcook.com/standard_deviation.html
# * J. Bennett, et. al., 'Numerically Stable, Single-Pass,
#   Parallel Statistics Algorithms,' Proceedings of IEEE
#   International Conference on Cluster Computing, 2009.

shabbychef

require(quantmod)
getSymbols(c("SPY","TLT","GLD","AAPL"))
allofem <- merge(SPY[,"SPY.Adjusted"],TLT[,"TLT.Adjusted"],GLD[,"GLD.Adjusted"],AAPL[,"AAPL.Adjusted"])
mo.pry <- to.monthly(allofem,OHLC=FALSE)
mo.ret <- diff(log(mo.pry))
sub.ret <- mo.ret[(dim(mo.ret)[1]-59):dim(mo.ret)[1],]
mu <- apply(sub.ret,2,mean,na.rm=TRUE)
Sg <- cov(sub.ret,use="complete.obs")
w <- solve(Sg,mu)
n <- dim(sub.ret)[1]

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